“It looks suspicious as heck to me. It is either nefarious or illegal, in my personal opinion," regulator said.

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Former New Jersey governor Jon Corzine’s former brokerage firm was engaged in activity that was “either nefarious or illegal,” said a U.S. futures regulator on Tuesday.

“It looks suspicious as heck to me. It is either nefarious or illegal, in my personal opinion. That’s why we have an investigation. The money should be there, it’s not. That money should be sacrosanct. It’s really troubling,” said Bart Chilton, a commissioner at the Commodities Futures Trading Commission, on CNBC’s Squawk Box.

Two weeks ago, the brokerage firm run by Corzine filed for bankruptcy and told regulators about deficiencies in accounts that it managed for clients. Some reports have indicated that as much as $600 million in clients funds could be missing.

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Soon after MF Global’s bankruptcy, Corzine resigned as Chairman and CEO of the firm.

Investigators have begun looking into whether Corzine’s firm moved some of its own customer’s funds to support its own trades, in order to make up for some bad bets on European sovereign debt. Under regulations, brokers are required to keep their customers’ funds separate from their own accounts.

Last week, the New Jersey Democrat’s former firm fired all of its 1,066 employees.

Corzine, a former U.S. Senator, lost the 2009 gubernatorial election in New Jersey to Republican Chris Christie.